Volatility Components, Affine Restrictions and Non-Normal Innovations

By Peter F. Christoffersen, Christian Dorion, Kris Jacobs, Yintian Wang. 2008

82 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c1e51a530c58370fa360cb66377228b87622fce3

Citations in the corpus

• Properties and Estimation of Asymmetric Exponential Power Distribution (2007, unknown): “Many nancial applications of the GED as well as its skew extensions have been considered in Hsieh (1989), Nelson (1991), Duan (1999), Rachev and Mittinik (2000), Theodossiou (2000), Ayebo and Kozubowski (2004), Komunjer (2007), Christo¤ersen et al (2005) and others.”